as you may know, kmz files are simply compressed (zipped) kml files. so you can any time simply unzip it to get the kml file.
kml files themselves can also be just zipped and renamed to kmz to get a kmz file.
since kml/kmz files already are georeferenced, it makes most sense to simply use them as so-called 'Static Models' (please see new documentation), a new functionality of the CityEngine 2011. simply drag-and-drop (also a new functionality of 2011 !) them into the scene and they're automatically placed correctly.
so kml/kmz files can not be used in CGA, this is not supported since they basically in 99.9% of the cases already represent final building geometries.
in case you need to use the kml/kmz geometries as assets anyway, dig deeper in the kml file structure to find standard collada (.dae) files which you can use of course, also within CGA.